Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition
AbstractWe relate the Lp-variation, 2≤p<∞, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in time.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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